| Metric | mom_cluster | sp500 | mom_vanilla |
|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% |
| Cumulative Return | 1,472.56% | 390.29% | 771.17% |
| CAGR﹪ | 8.83% | 5.0% | 6.87% |
| Sharpe | 0.84 | 0.46 | 0.78 |
| Prob. Sharpe Ratio | 100.0% | 98.53% | 99.99% |
| Smart Sharpe | 0.83 | 0.45 | 0.77 |
| Sortino | 1.18 | 0.65 | 1.08 |
| Smart Sortino | 1.16 | 0.64 | 1.06 |
| Sortino/√2 | 0.83 | 0.46 | 0.76 |
| Smart Sortino/√2 | 0.82 | 0.45 | 0.75 |
| Omega | 1.16 | 1.16 | 1.16 |
| Max Drawdown | -26.68% | -55.19% | -27.78% |
| Longest DD Days | 517 | 1797 | 921 |
| Volatility (ann.) | 16.12% | 19.53% | 13.61% |
| Calmar | 0.33 | 0.09 | 0.25 |
| Skew | -0.41 | -0.04 | -0.48 |
| Kurtosis | 4.14 | 12.25 | 5.69 |
| Expected Daily | 0.05% | 0.03% | 0.04% |
| Expected Monthly | 1.03% | 0.59% | 0.8% |
| Expected Yearly | 12.73% | 7.16% | 9.87% |
| Kelly Criterion | 5.83% | 3.1% | 5.9% |
| Risk of Ruin | 0.0% | 0.0% | 0.0% |
| Daily Value-at-Risk | -1.62% | -1.99% | -1.37% |
| Expected Shortfall (cVaR) | -1.62% | -1.99% | -1.37% |
| Max Consecutive Wins | 12 | 14 | 13 |
| Max Consecutive Losses | 8 | 8 | 9 |
| Gain/Pain Ratio | 0.16 | 0.09 | 0.15 |
| Gain/Pain (1M) | 1.13 | 0.56 | 1.03 |
| Payoff Ratio | 0.9 | 0.88 | 0.88 |
| Profit Factor | 1.16 | 1.09 | 1.15 |
| Common Sense Ratio | 1.13 | 0.98 | 1.12 |
| CPC Index | 0.58 | 0.53 | 0.57 |
| Tail Ratio | 0.97 | 0.9 | 0.97 |
| Outlier Win Ratio | 3.95 | 3.56 | 4.83 |
| Outlier Loss Ratio | 4.0 | 3.5 | 4.8 |
| MTD | 1.86% | 4.5% | 1.86% |
| 3M | 10.71% | 10.33% | 9.16% |
| 6M | 1.91% | 14.47% | 0.43% |
| YTD | 1.41% | 14.61% | 0.16% |
| 1Y | 7.71% | 13.34% | 6.55% |
| 3Y (ann.) | 16.81% | 8.62% | 12.05% |
| 5Y (ann.) | 11.37% | 7.47% | 7.88% |
| 10Y (ann.) | 9.42% | 8.5% | 7.25% |
| All-time (ann.) | 8.83% | 5.0% | 6.87% |
| Best Day | 6.58% | 14.52% | 5.98% |
| Worst Day | -6.89% | -10.94% | -6.72% |
| Best Month | 23.09% | 12.7% | 23.09% |
| Worst Month | -13.05% | -16.52% | -11.28% |
| Best Year | 37.67% | 32.31% | 23.05% |
| Worst Year | -3.47% | -36.8% | -6.67% |
| Avg. Drawdown | -2.46% | -1.92% | -1.94% |
| Avg. Drawdown Days | 28 | 30 | 25 |
| Recovery Factor | 55.2 | 7.07 | 27.76 |
| Ulcer Index | 0.07 | 0.15 | 0.06 |
| Serenity Index | 18.0 | 1.1 | 8.51 |
| Avg. Up Month | 3.53% | 3.48% | 2.99% |
| Avg. Down Month | -3.75% | -4.37% | -3.31% |
| Win Days | 55.49% | 54.6% | 55.85% |
| Win Month | 63.33% | 64.44% | 65.93% |
| Win Quarter | 70.0% | 72.22% | 72.22% |
| Win Year | 82.61% | 78.26% | 86.96% |
| Year | mom_cluster | sp500 | mom_vanilla |
|---|---|---|---|
| 2001 | -0.55 | -13.10 | -5.25 |
| 2002 | 5.47 | -20.83 | 5.76 |
| 2003 | 25.12 | 26.20 | 17.67 |
| 2004 | 20.68 | 10.78 | 15.00 |
| 2005 | 26.35 | 5.25 | 14.82 |
| 2006 | 14.39 | 15.21 | 10.73 |
| 2007 | 19.78 | 6.28 | 18.26 |
| 2008 | 7.54 | -37.36 | 7.31 |
| 2009 | 12.74 | 26.93 | 9.25 |
| 2010 | 13.21 | 15.63 | 12.03 |
| 2011 | 7.87 | 4.53 | 8.10 |
| 2012 | -1.06 | 15.64 | 5.88 |
| 2013 | 24.41 | 28.62 | 21.21 |
| 2014 | 14.13 | 13.27 | 12.96 |
| 2015 | -2.67 | 2.41 | -0.56 |
| 2016 | 8.25 | 12.18 | 4.91 |
| 2017 | 15.53 | 19.88 | 14.12 |
| 2018 | 1.22 | -3.23 | -4.71 |
| 2019 | 9.79 | 27.97 | 15.19 |
| 2020 | 32.30 | 22.47 | 18.31 |
| 2021 | 11.43 | 26.11 | 17.55 |
| 2022 | 36.71 | -17.13 | 17.89 |
| 2023 | 2.19 | 14.15 | 0.90 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2022-06-09 | 2023-06-27 | -26.68 | 384 |
| 2002-05-24 | 2003-08-29 | -23.57 | 463 |
| 2020-02-20 | 2020-07-17 | -23.11 | 149 |
| 2008-07-03 | 2009-11-13 | -21.23 | 499 |
| 2006-05-11 | 2007-02-20 | -17.31 | 286 |
| 2018-10-04 | 2019-12-31 | -15.59 | 454 |
| 2001-05-22 | 2002-03-01 | -15.32 | 284 |
| 2001-03-09 | 2001-04-30 | -14.14 | 53 |
| 2005-09-30 | 2006-01-03 | -12.74 | 96 |
| 2005-03-07 | 2005-07-01 | -12.61 | 117 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2001-02-02 | 2006-01-03 | -42.03 | 1797 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-06-27 | -24.50 | 540 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| 2020-09-03 | 2020-11-10 | -9.44 | 69 |
| 2007-07-20 | 2007-10-04 | -9.05 | 77 |
| 2006-05-10 | 2006-09-12 | -7.59 | 126 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2001-05-22 | 2003-11-28 | -27.78 | 921 |
| 2022-06-09 | 2023-06-27 | -24.38 | 384 |
| 2020-02-20 | 2020-08-03 | -21.79 | 166 |
| 2008-07-03 | 2010-01-05 | -17.91 | 552 |
| 2006-05-11 | 2007-02-13 | -16.17 | 279 |
| 2018-10-04 | 2019-08-30 | -15.40 | 331 |
| 2001-03-09 | 2001-05-15 | -13.75 | 68 |
| 2015-07-21 | 2016-12-08 | -11.16 | 507 |
| 2005-09-30 | 2006-01-03 | -10.50 | 96 |
| 2007-07-20 | 2007-09-26 | -10.32 | 69 |